On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales

In this paper it is shown that the space of stochastic integrals w.r. to a special semimartingal is closed and hence every square integrable random variable admits a best approximation in this space. In terms of financial economics this means that for every contingent claim there exists a hedging strategy minimizing the expected square of net loss.

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Year of publication:	1994-11
Authors:	Christopeit, Norbert
Institutions:	University of Bonn, Germany
Subject:	stochastic integration \| hedging \| incomplete markets

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Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Classification:	G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005085669